ARTICLE | doi:10.20944/preprints202302.0004.v1
Subject: Computer Science And Mathematics, Computer Science Keywords: High-frequency Limit Order Book; Online Fast Prediction; Hybrid Neural Network
Online: 1 February 2023 (02:37:46 CET)
Time series data having low signal-to-noise ratio, non-stationarity and non-linearity are commonly seen in high-frequency stock trading, where the objective is to increase the likelihood of profit by taking advantage of tiny discrepancies in prices and trading on them quickly and in huge quantities. For this purpose, it is essential to apply a trading method that is capable of fast and accurate prediction from such time series data. In this paper, we develop an online time series forecasting method for high-frequency trading (HFT) by integrating three neural network deep learning models, i.e., Long Short-Term Memory (LSTM), Gated Recurrent Unit (GRU) and Transformer; and we abbreviate the new method to online LGT or O-LGT. The key innovation underlying our method is its efficient storage management, which enables super-fast computing. Specifically, when computing the forecast for the immediate future time, we use only the output calculated from the previous trading data (rather than the previous trading data themselves) together with the current trading data. Thus, the computing involves updating only the current data into the process. We evaluate the performance of O-LGT by analyzing the high-frequency Limit Order Book (LOB) data from the China market. It shows that our model in most cases achieves similar speed with much higher accuracy than the conventional fast supervised learning models for HFT. However, with a slight sacrifice in accuracy, O-LGT is approximately 40 times faster than the existing high-accuracy neural network models for the LOB data in China market.
ARTICLE | doi:10.20944/preprints202309.1266.v1
Subject: Engineering, Civil Engineering Keywords: shield tunneling; kirchhoff plate; space effect; ground heave; diaphragm wall deformation; field monitoring
Online: 19 September 2023 (07:36:11 CEST)
The ground surface deformation induced by shield tunnels passing through enclosure structure of existing tunnels is a particular underground construction scenario, which is encountered in Wuhan metro line 12 engineering cases in China. The classic ground deformation theory is difficult to accurately predict this ground deformation. This paper develops a semi-analytical method to predict ground heave considering space effect in this engineering condition. Based on improved ground deformation theory, a novel deformation prediction method of ground and enclosure structure is derived combined with Kirchhoff plate theory. Comparing with field deformation measurements, the maximum difference between measured and calculated deformation is 14.6%, which demonstrating that the proposed method can be used to predict the ground heave induced by shield tunnels passing through the enclosure structure of existing tunnels. The parameters of underground diaphragm wall used in Wuhan metro line 12 are further studied in detail. The results show that the ground heaves have positive correlation with embedded ratio of diaphragm wall, but negative correlation with its elastic modulus and thickness. But the thickness and embedded ratio has a limited effect on ground heaves. This study provides a technical reference for optimization setting of enclosure structure in protecting existing building.